With Apple Inc’s earnings out, the Implied Volatility is coming in pretty hard. What I find most interesting is the lack of momentum in the underlying name. There have been some sizable intraday moves but the close to close volatility is not doing too much over the last two weeks ringing in at a 17.15 realized volatility.
The Steve Jobs news does throw a monkey wrench into the works (not being cold hearted here, his illness is very unfortunate) so the Implied Volatilities are not drifting down as hard as they might otherwise. The Option Landscape below shows the ratio of MidVol to the 14 Day Realized Volatility.
Essentially, any strike in green has current Implied Volatility 1.5x the trailing 14 day Realized (Historical) Volatility (which is around 17 %+). As you can see that is most of what is out there except for the very in the money puts with the highlighted put, the Feb 310, for a 31.18% volatility bid. That is a pretty high theta train to pay while you see how things shake out. Food for thought as you watch the options perform over the next couple of weeks. Options landscape created in AlphaVision Professional from Aqumin, www.aqumin.com or AV Pro - Early Access.
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